Estimating ambiguity aversion in a portfolio choice experiment

• 成果类型: Article
• 署名作者: Ahn, David; Choi, Syngjoo; Gale, Douglas; Kariv, Shachar
• 署名单位: University of California System; University of California Berkeley; University of London; University College London; New York University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE243
• 发表日期: 2014
• 页码: 195-223
• 关键词: uncertainty; ambiguity aversion; risk aversion; pessimism/optimism; subjective expected utility; maxmin expected utility; alpha-maxmin expected utility; Choquet expected utility; contraction expected utility; recursive expected utility; recursive nonexpected utility; rank-dependent utility; experiment

摘要

We report a portfolio-choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets are Arrow securities that correspond to three states of nature, where one state is risky with known probability and two states are ambiguous with unknown probabilities. We estimate two specifications of ambiguity aversion, one kinked and one smooth, that encompass many of the theoretical models in the literature. Each specification includes two parameters: one for ambiguity attitudes and another for risk attitudes. We also estimate a three-parameter specification that includes an additional parameter for pessimism/optimism (underweighting/overweighting the probabilities of different payoffs). The parameter estimates for individual subjects exhibit considerable heterogeneity. We cannot reject the null hypothesis of subjective expected utility for a majority of subjects. Most of the remaining subjects exhibit statistically significant ambiguity aversion or seeking and/or pessimism or optimism.